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Investment Securities Available for Sale (Tables) | 6 Months Ended
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Jun. 30, 2018
Investments, Debt and Equity Securities [Abstract] |
Schedule of Available for Sale Securities | Investment securities available for sale consisted of the following as of June 30, 2018 and December 31, 2017 (dollar amounts in thousands):
| June 30, 2018 |  | December 31, 2017
| Amortized Cost |  | Unrealized |  | Fair Value |  | Amortized Cost |  | Unrealized |  | Fair Value
|  | Gains |  | Losses |  |  |  | Gains |  | Losses |
Agency RMBS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency ARMs |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac | $ | 29,384 |  |  | $ | — |  |  | $ | (1,161 | ) |  | $ | 28,223 |  |  | $ | 33,623 |  |  | $ | 16 |  |  | $ | (852 | ) |  | $ | 32,787 |
Fannie Mae | 48,610 |  |  | 10 |  |  | (1,624 | ) |  | 46,996 |  |  | 54,958 |  |  | 6 |  |  | (1,236 | ) |  | 53,728 |
Ginnie Mae | 4,245 |  |  | — |  |  | (136 | ) |  | 4,109 |  |  | 4,750 |  |  | — |  |  | (193 | ) |  | 4,557 |
Total Agency ARMs | 82,239 |  |  | 10 |  |  | (2,921 | ) |  | 79,328 |  |  | 93,331 |  |  | 22 |  |  | (2,281 | ) |  | 91,072 |
Agency Fixed- Rate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac | 92,189 |  |  | — |  |  | (3,023 | ) |  | 89,166 |  |  | 20,804 |  |  | — |  |  | (736 | ) |  | 20,068 |
Fannie Mae | 971,543 |  |  | — |  |  | (38,693 | ) |  | 932,850 |  |  | 1,038,363 |  |  | 669 |  |  | (12,174 | ) |  | 1,026,858 |
Ginnie Mae | — |  |  | — |  |  | — |  |  | — |  |  | 365 |  |  | — |  |  | (6 | ) |  | 359 |
Total Agency Fixed-Rate | 1,063,732 |  |  | — |  |  | (41,716 | ) |  | 1,022,016 |  |  | 1,059,532 |  |  | 669 |  |  | (12,916 | ) |  | 1,047,285 |
Agency IOs |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac | — |  |  | — |  |  | — |  |  | — |  |  | 8,436 |  |  | 19 |  |  | (2,756 | ) |  | 5,699 |
Fannie Mae | — |  |  | — |  |  | — |  |  | — |  |  | 11,310 |  |  | 22 |  |  | (2,989 | ) |  | 8,343 |
Ginnie Mae | — |  |  | — |  |  | — |  |  | — |  |  | 21,621 |  |  | 230 |  |  | (4,714 | ) |  | 17,137 |
Total Agency IOs | — |  |  | — |  |  | — |  |  | — |  |  | 41,367 |  |  | 271 |  |  | (10,459 | ) |  | 31,179 |
Total Agency RMBS | 1,145,971 |  |  | 10 |  |  | (44,637 | ) |  | 1,101,344 |  |  | 1,194,230 |  |  | 962 |  |  | (25,656 | ) |  | 1,169,536 |
Non-Agency RMBS | 53,695 |  |  | 372 |  |  | (10 | ) |  | 54,057 |  |  | 100,291 |  |  | 1,852 |  |  | (18 | ) |  | 102,125 |
CMBS (1) | 115,799 |  |  | 18,815 |  |  | — |  |  | 134,614 |  |  | 123,203 |  |  | 18,217 |  |  | — |  |  | 141,420 |
Total investment securities available for sale | $ | 1,315,465 |  |  | $ | 19,197 |  |  | $ | (44,647 | ) |  | $ | 1,290,015 |  |  | $ | 1,417,724 |  |  | $ | 21,031 |  |  | $ | (25,674 | ) |  | $ | 1,413,081 |
(1) | Included in CMBS is $50.1 million and $47.9 million of investment securities available for sale held in securitization trusts as of June 30, 2018 and December 31, 2017, respectively.
Weighted Average Lives of Investment Securities Available for Sale | The following table sets forth the weighted average lives of our investment securities available for sale as of June 30, 2018 and December 31, 2017 (dollar amounts in thousands):
Weighted Average Life | June 30, 2018 |  | December 31, 2017
0 to 5 years | $ | 314,907 |  |  | $ | 426,061 |
Over 5 to 10 years | 951,455 |  |  | 970,336 |
10+ years | 23,653 |  |  | 16,684 |
Total | $ | 1,290,015 |  |  | $ | 1,413,081 |
Stated Reset Periods of Investment Securities Available for Sale | The following tables set forth the stated reset periods of our investment securities available for sale at June 30, 2018 and December 31, 2017 at carrying value (dollar amounts in thousands):
| June 30, 2018 |  | December 31, 2017
| Less than 6 months |  | 6 to 24 months |  | More than 24 months |  | Total |  | Less than 6 months |  | 6 to 24 months |  | More than 24 months |  | Total
Agency RMBS | $ | 10,170 |  |  | $ | 15,516 |  |  | $ | 1,075,658 |  |  | $ | 1,101,344 |  |  | $ | 26,876 |  |  | $ | 24,726 |  |  | $ | 1,117,934 |  |  | $ | 1,169,536 |
Non-Agency RMBS | 7,526 |  |  | — |  |  | 46,531 |  |  | 54,057 |  |  | 84,461 |  |  | — |  |  | 17,664 |  |  | 102,125 |
CMBS | 62,038 |  |  | — |  |  | 72,576 |  |  | 134,614 |  |  | 70,791 |  |  | — |  |  | 70,629 |  |  | 141,420 |
Total investment securities available for sale | $ | 79,734 |  |  | $ | 15,516 |  |  | $ | 1,194,765 |  |  | $ | 1,290,015 |  |  | $ | 182,128 |  |  | $ | 24,726 |  |  | $ | 1,206,227 |  |  | $ | 1,413,081 |
Schedule of Investment Securities Available for Sale in Unrealized Loss Position | The following tables present the Company's investment securities available for sale in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at June 30, 2018 and December 31, 2017 (dollar amounts in thousands):
June 30, 2018 | Less than 12 months |  | Greater than 12 months |  | Total
| Carrying Value |  | Gross Unrealized Losses |  | Carrying Value |  | Gross Unrealized Losses |  | Carrying Value |  | Gross Unrealized Losses
Agency RMBS | $ | 794,830 |  |  | $ | (26,721 | ) |  | $ | 305,579 |  |  | $ | (17,916 | ) |  | $ | 1,100,409 |  |  | $ | (44,637 | )
Non-Agency RMBS | — |  |  | — |  |  | 181 |  |  | (10 | ) |  | 181 |  |  | (10 | )
Total investment securities available for sale | $ | 794,830 |  |  | $ | (26,721 | ) |  | $ | 305,760 |  |  | $ | (17,926 | ) |  | $ | 1,100,590 |  |  | $ | (44,647 | )
At June 30, 2018, the Company does not intend to sell any of its investments that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. Gross unrealized losses on the Company’s Agency RMBS were $44.6 million at June 30, 2018. Agency RMBS are issued by GSEs and enjoy either the implicit or explicit backing of the full faith and credit of the U.S. Government. While the Company’s Agency RMBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S. Government would not continue to support the GSEs. Given the credit quality inherent in Agency RMBS, the Company does not consider any of the current impairments on its Agency RMBS to be credit related. In assessing whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at its maturity, the Company considers for each impaired security, the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at June 30, 2018 any unrealized losses on its Agency RMBS were temporary.
December 31, 2017 | Less than 12 months |  | Greater than 12 months |  | Total
| Carrying Value |  | Gross Unrealized Losses |  | Carrying Value |  | Gross Unrealized Losses |  | Carrying Value |  | Gross Unrealized Losses
Agency RMBS | $ | 511,313 |  |  | $ | (1,807 | ) |  | $ | 342,963 |  |  | $ | (13,390 | ) |  | $ | 854,276 |  |  | $ | (15,197 | )
Non-Agency RMBS | — |  |  | — |  |  | 193 |  |  | (18 | ) |  | 193 |  |  | (18 | )
Total investment securities available for sale | $ | 511,313 |  |  | $ | (1,807 | ) |  | $ | 343,156 |  |  | $ | (13,408 | ) |  | $ | 854,469 |  |  | $ | (15,215 | )

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